Hedge fund manager and quantitative researcher Jonathan Kinlay examines some of the latest theories, models and investment research in quantitative research and trading.
Thursday, July 9, 2009
Stochastic Volatility Models
From:Collector's Blog | July 08, 2009
Every stochastic volatility model assumes yes stochastic volatility. All the stochastic volatility models I have looked into however assume constant volatility of volatility. Empirical research (mostly unpublished) shows the volatilRead more at Collector's Blog »
Dr Jonathan Kinlay is the chief executive of the investment research and consulting firm Investment Analytics and founder of the Proteom Fund, a quantitative stat arb. and volatility arbitrage hedge fund, whose algorithmic trading strategies are based on techniques from econometrics and the biosciences.
Dr. Kinlay was the founder and General Partner of the Caissa Capital volatility arbitrage fund, and was formerly Global Head of Model Review at Bear Stearns.
Dr Kinlay is on the finance faculty at NYU Stern where he lectures on hedge fund strategy. He studied for his PhD and other postgraduate degrees in Economics, Statistics and Business Administration from the Universities of Bristol, Sheffield, London and Cambridge.